Sex during period?

Hey everyone! I'm kinda new here, but I wanted some advice. 
My boy wants to have sex with me while I am on my period. He has been asking me for a while now, but honestly it just makes me really shy, LOL.  I've never done it on my period. So I'm a little curious, because I might consider it next month, haha. 
Has anyone had sex while on their period?  Any tips or advice? 
Is it messy? Does it smell?  
Thanks in advance! -xx